Ανάρτηση Ερευνητικoύ Δοκιμίου no 24/23

Ερευνητικό Δοκίμιο no 24/23 με τίτλο "Limit Theory for Martingale Transforms with Heavy-Tailed Noise"
 των Στυλιανού Αρβανίτη και Αλέξανδρου Λούκα

Περίληψη

A limit theorem for partial sums of martingale transforms with multiplicative noise and ergodic transform processes is established, resulting to regularly varying rates and stable limits. Its’ establishment is facilitated by the derivation of an extension to empirical distributions of Breiman’s Theorem along with the Principle of Conditioning. The theorem is applied for the derivation of the limit theory OLSE in regressions with heavy tailed noise, as well as of the limit theory of the Gaussian QMLE in GARCH-type models. Depending on the index of stability, regularly varying rates and asymptotic stable distributions or inconsistency, are obtained.
 

Ο Στυλιανός Αρβανίτης είναι Καθηγητής στο τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών και ο Αλέξανδρος Λούκα είναι Επιστημονικός Συνεργάτης στο Ίδρυμα Οικονομικών και Βιομηχανικών Ερευνών (ΙΟΒΕ).